On the option valuation and decomposition of exchange option

  • Won Choi
  • Seung Chul Ahn


In this paper, we shall find the uniquerational price associated with the exchange option. Also, we find the decomposition of Snell envelope and value function of the American exchange option.

AMS Mathematics Subject Classification

60H30 60H20 90A09 

Key words and phrases

Exchange option value function Snell envelope 


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Copyright information

© Korean Society for Computational and Applied Mathematics 2002

Authors and Affiliations

  1. 1.Department of MathematicsUniversity of IncheonIncheonKorea
  2. 2.Department of Computer Science and StatisticsWoo Suk UniversityWan JuKorea

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